DocumentCode
3408525
Title
Profitability of pairs trading tactics in China´s stock market
Author
Huang Tianyong ; Deng Ming ; Wu Liang
Author_Institution
Dept. of Stat., Xiamen Univ., Xiamen, China
fYear
2013
fDate
8-9 July 2013
Firstpage
111
Lastpage
115
Abstract
On the hypothesis of short selling being possible in Shanghai stock market, using standardized stock price series, selecting sample based on the constituent stocks of SSE 50 index, this paper tests the profitability of pairs trading tactics. By use of constructing benchmark and bootstrap simulation, this paper demonstrates that pairs trading tactics is profitable in Chinese securities market. The system risk of this tactics is close to zero, which reflects the pairs trading tactics being a market neutral tactics.
Keywords
pricing; profitability; stock markets; China stock market; Chinese securities market; SSE 50 index; Shanghai stock market; bootstrap simulation; market neutral tactics; standardized stock price series; trading tactics profitability; Benchmark testing; Computational modeling; Indexes; Investment; Portfolios; Profitability; Stock markets; Chinese Securities Market; Minimum Distance Method; Profitability; Trading;
fLanguage
English
Publisher
ieee
Conference_Titel
Innovation Conference (SIIC), 2013 Suzhou-Silicon Valley-Beijing International
Conference_Location
Suzhou
Print_ISBN
978-1-4799-0338-2
Type
conf
DOI
10.1109/SIIC.2013.6624176
Filename
6624176
Link To Document